证 券投资基金优化方案的初探.docVIP

证券投资基金优化方案的初探 【摘要】： 近年，由于我国经济的高速发展，人们对基金投资的热情越来越高涨。然 而金融危机后，人们开始冷静下来，加强了对基金投资的收益与风险的考虑。如何才能选择一个真正适合自己的基金呢？带着这个问题，我们利用自己所能理解的数学知识，进行了有关投资基金收益与风险的数学探讨。 本文将通过实证设计描述、收益率评价对基金进行收益与风险估测，并建立基金组合分析模型和双目标规划模型。 在建立数学模型的准备阶段中，我们首先对单个投资基金以及基金组合的收益和风险进行分析；然后对基金组合的可行域和有效边界进行求解；最后根据不同的投资者，建立不同的个人偏好与无差异曲线。 在投资基金的风险与收益的研究上，我们首先选取10支基金作为样本，并进行数据处理。 然后，我们通过基金组合分析法模型，得到了证券组合中风险和收益的定性结论。同时，我们也通过建立收益和风险的双目标规划模型，采用偏好系数加权法转化为单目标来进行求解，得到定量的组合数据。对应于不同的风险偏好系数λ的取值范围，则得到不同的基金组合方案。 最后，我们对模型进行了进一步的讨论与改进，并对其优缺点进行了评价。 【关键词】： 投资组合 有效边界 无差异曲线 偏好系数加权法 双目标划模型 【Abstract】： In recent years, due to the fast economic development in our country, capital fund investment has become very popular and is increasing rapidly. After the financial crisis, people have calmed down and are evaluating the risks and rewards of capital fund investment. How can we select and pick a capital fund investment that is suitable for you? With the question, we use our knowledge and understanding from teaching to research on the risks and returns. This article is based on actual design and description to make a comprehensive evaluation on the marginal income of capital fund investment and predicting the risk, thus building up some portfolios of fund investment for model analysis to obtain both objectives and planning functions. In preparation of building up the teaching model, we firstly evaluate the risks and rewards of a single investment and a certain investment portfolio to seek understanding on the feasibility and the efficiency of the categorized fund investment. Finally, creating personal favorites and indifference curve based on various investors. Based on the research of the risks and rewards of the fund investment, we have selected 10 examples for data processing. After using combined analysis model on the categorized fund investment, we were able to gain a definite conclusion of the categorized portfolios. At the same time, we also used the model analysis to obtain both objectives and planning functions on the